Abstract
The aim of this study was to analyze the possible effects of the location of the assets of real estate investment trusts (REITs) on their risk-adjusted performance. Financial data on 86 REITs were used, some taken from the Funds Explorer website and the rest taken from the Economatica database. The data covered the four-year period from 2016 to 2019. Panel data regression analysis was employed to test the hypotheses, with the random effects model being adopted after conducting the Hausman, Breusch & Pagan, and Chow tests. The main results suggest that management fee has a positive and statistically significant relationship with the Sharpe ratio relating to the risk premium of the REIT’s portfolio, while the age of the REIT showed a statistically significant and negative relationship with this dependent variable. Other elements, such of performance fees and the number of cities where the REIT has real estate were not statistically significant.© 2018, Facultad de Contaduría y Administración, Universidad Nacional Autónoma de México. All rights reserved. Publication of the article implies full assignment of property rights (copyright) in Journal of Contaduría y Administración. The publication mreserves the right to total or partial reproduction of the work in other print, electronic or any other alternative means, but always recognizing its responsibility.
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